High‐dimensional sparse multivariate stochastic volatility models

DOI10.1111/jtsa.12647arXiv2201.08584OpenAlexW4221150670MaRDI QIDQ6135331

Manabu Asai, Benjamin Poignard

Publication date: 24 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.08584

zbMATH Keywords

forecastingmultivariate stochastic volatilitypenalized M-estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from stochastic processes (62Mxx)

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